Browsing by Subject "Convexity adjustment"
Now showing items 1-1 of 1
-
Expansion formulas for European quanto options in a local volatility FX-LIBOR model
(World Scientific Publishing Company, 2018)We develop an expansion approach for the pricing of European quanto options written on LIBOR rates (of a foreign currency). We derive the dynamics of the system of foreign LIBOR rates under the domestic forward measure ...